I'll try and take a picture soon, in the meantime, here's some helpful tips:

Lets start with the combining part:

See how on Meg's left hand, he has a clip above the middle finger? Put both arms forward and transform his lower left arm as you would for vehicle mode. now, clip the left arm onto the wrist joint on the right hand (using the clip on the left hand).

Now the cannon:

Open up the cannon with your fingers, then take the middle finger of the right hand and prop it under the fussion cannon side (the part that swings out). It's tricky, but the middle, right habd finger should keep the cannon deployed. Some times the spring just pushes the cannon aside, but you'll get it eventually.